Within the fixed income universe, ‘fallen angels’ refer to high yield bonds that used to be classified as investment grade, but were since reduced to high yield. Research shows that fallen angel bonds’ prices tend to recover from the downgrade dip over a 30-60 months period.1
To capture the price dynamics over the potential rebound period, the Citi Time-Weighted US Fallen Angel Bond Select Index uses a time-weighting function that allocates higher weights to bonds that have more recently become ‘fallen angels’.
1 “Falling Angels & Forced Selling”, Citi Research, Mar. 2015
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